Trading System Back Test on MetaStock Pro 9.0

Simulation parameters:

• Exclude all systems which require optimization (and thus data dependent);
• Both long and short, and all positions will be closed on the last bar.
• Margin interest rate: 5%, money market interest rate rate: 3%.
• Margin requirements: long 100%, short 150%.
• Initial equity: 10000.
• Commission: $1 per transaction for both entry and exit.
• Use realistic market prices based on market open for buy/sell/sell short/buy to cover.

1. Dow Jones Industrial Average, from 1928-10-01 to 2008-12-05.  EOD.

Performance chart:

Top systems:

• pp::CCI (modified)
  equity over time:
  
  Stops:
  
  Summary:
  
• pp::Pivot Rotation
  equity over time:
  
  Stops:
  
  Summary:
  
• Equis - Trend Analysis - Expert System
  equity over time:
  
  Stops:
  
  System details:
  
  Summary:
  
• pp::Bollinger Bands (modified)
  equity over time:
  
  Stops:
  
  Summary:
  

2. S&P 500 Index, from 1950-01-03 to 2008-12-05. EOD.

Performance chart:

Refer to other test results on top 4 systems.

3. Nasdaq Composite Index, from 1971-02-05 to 2008-12-05.  EOD.

Performance chart:

Top systems:

• pp::CCI (modified)
  
• PS Bull Power Bear Power 1
  
  system details and stop setting:
  
• PS percentage Crossover 3%
  
  system details and stop setting:
  
• pp::Pivot Rotation
   

4. SKF, from 2007-02-01 to 2008-12-05

Performance chart:

Top systems:

• PS Cycle progression: this is an extremely simple system!
  summary:
  
  equity over time:
  
  system details:
  

5. SDS, from 2007-07-13 to 2008-12-05

Performance chart:

Refer to other test results for more details.

6. UltraETF: SSO+SDS+SKF+UYG, from 2007 to 2008-12-05

Performance chart:

Refer to other test results for more details.

7. QQQQ 5-min bars from 2006-11-13 to 2008-11-10 (728 days)

Performance chart: One can see that, the huge profit is eroded by equally huge commissions.

summary of pp::CCI(modified) [left] and pp::Pivot Rotation [right].

 

Change it to 15-min bar:

Summary:

(pp:CCI(modified)) (pp::Pivot Rotation) (pp::Bollinger Bands(modified))

Change it to 60-min bar:

summary:

pp::CCI(modified) pp::Pivot Rotation pp::Bollinger Bands